Abstract: In order to study the liquidity risk of financial leasing companies, this paper firstly establishes a multi-period dynamic model of the cash flow process of leasing companies, and applies this model to quantitatively analyze the impact of the initial reserve fund, the renewing rate of maturity loan, and the rent on the liquidity risk. Then the default probability is used to measure the liquidity risk, and the problem is transformed into solving the probability distribution of the non-homogeneous Markov chain with increasing state space. And default algorithms(DA)and Monte Carlo method(MC)are designed to solve the first-time distribution. The example shows that increasing the initial reserve fund,the renewing rate of maturity loan, and the rent can effectively reduce the liquidity risk. Finally, the banks’ interest rates and different rent pricing methods are integrated into the basic model, and the impact of thelessee’s credit risk on the liquidity risk of the leasing company is further analyzed through three different rent pricing methods.

Key words: financial leasing, liquidity risk, non-homogeneous markov chain, hitting time

摘要： 为研究金融租赁公司流动性风险,本文首次建立租赁公司现金流过程的多期动态模型,利用该模型定量分析了初始备付金、到期借款续借率和回收租金三个变量对公司流动性风险的影响。随后用违约概率来度量流动性风险,将问题转化成求解状态空间不断增大的非齐次马尔可夫链首中时的概率分布,并设计出违约算法(DA)和蒙特卡洛方法(MC)两种求解首中时分布的算法。算例表明提高初始备付金额度、到期借款续借率以及租金额度能有效地降低流动性风险。最后将银行的存贷利率和不同的租金定价方法融入基本模型,并通过三种不同的租金定价方式进一步分析了承租人信用风险对金融租赁公司流动性风险的影响。

关键词: 金融租赁, 流动性风险, 非齐次马尔可夫链, 首中时